Optimal position targeting with stochastic linear-quadratic costs (Q5245470)
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scientific article; zbMATH DE number 6423514
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal position targeting with stochastic linear-quadratic costs |
scientific article; zbMATH DE number 6423514 |
Statements
Optimal position targeting with stochastic linear-quadratic costs (English)
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8 April 2015
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dynamic control problem
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optimal position targeting
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linear-quadratic cost functional
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backward stochastic differential equations
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financial mathematics
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